@AnupamKapoor-8585 Thanks for reaching out to Microsoft Q&A. I understand that you are getting an error- "Request is not authorized to perform this action using this permission" when trying to run Azcopy.
Please try to use "Storage Blob Data Owner" permissions and try if that helps. If not, can you please let me know the following?
- Did you choose all permissions here? If not, please choose all the permissions and try again.
- Are you using ADLS Gen2?
- Are you using User Delegation key?